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The GARCH-MIDAS model decomposes the\nconditional variance of (daily) stock returns into a short- and\nlong-term component, where the latter may depend on an\nexogenous covariate sampled at a lower frequency.", "License": "MIT + file LICENSE", "Encoding": "UTF-8", "LazyData": "true", "RoxygenNote": "7.3.3", "URL": "https://github.com/onnokleen/mfGARCH/", "BugReports": "https://github.com/onnokleen/mfGARCH/issues", "Repository": "https://onnokleen.r-universe.dev", "Date/Publication": "2026-01-13 14:43:46 UTC", "RemoteUrl": "https://github.com/onnokleen/mfgarch", "RemoteRef": "HEAD", "RemoteSha": "cb76089ae4875a7b25de6196e51dc9644a793a9a", "NeedsCompilation": "yes", "Packaged": { "Date": "2026-05-13 08:32:55 UTC", "User": "root" }, "Author": "Onno Kleen [aut, cre] (ORCID: )", "Maintainer": "Onno Kleen ", "MD5sum": "30c52ecb14ddac24d99594243fc2c294", "_user": "onnokleen", "_type": "src", "_file": "mfGARCH_0.2.2.tar.gz", "_fileid": 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For the sake of numerical stability, it is best to multiply log returns by 100.", "topics": [ "fit_mfgarch" ] }, { "page": "plot_weighting_scheme", "title": "This function plots the weighting scheme of an estimated GARCH-MIDAS model", "topics": [ "plot_weighting_scheme" ] }, { "page": "simulate_mfgarch", "title": "This function simulates a GARCH-MIDAS model. Innovations can follow a standard normal or student-t distribution.", "topics": [ "simulate_mfgarch" ] }, { "page": "simulate_mfgarch_diffusion", "title": "This function simulates a GARCH-MIDAS model where the short-term GARCH component is replaced by its diffusion limit, see Andersen (1998)", "topics": [ "simulate_mfgarch_diffusion" ] }, { "page": "simulate_mfgarch_rv_dependent", "title": "Simulate a GARCH-MIDAS similar to Wang/Ghysels with lagged RVol as covariate", "topics": [ "simulate_mfgarch_rv_dependent" ] } ], "_readme": "https://github.com/onnokleen/mfgarch/raw/HEAD/README.md", "_rundeps": [ "digest", "generics", "lattice", "maxLik", "miscTools", "numDeriv", "Rcpp", "sandwich", "zoo" ], "_sysdeps": [ { "shlib": "libstdc++", "package": "libstdc++6", "source": "gcc", "version": "14.2.0-4ubuntu2~24.04.1", "name": "c++", "homepage": "http://gcc.gnu.org/", "description": "GNU Standard C++ Library v3" } ], "_score": 4.858537197569639, "_indexed": true, "_nocasepkg": "mfgarch", 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